This forum is for Audacity 2.x.x on Windows.Please state which version of Windows you are using, and the exact three-section version number of Audacity from "Help menu > About Audacity".

Audacity 1.2.x and 1.3.x are obsolete and no longer supported. If you still have those versions, please upgrade at https://www.audacityteam.org/download/.The old forums for those versions are now closed, but you can still read the archives of the 1.2.x and 1.3.x forums.

Audacity doesn't have Append/Import as you probably found out. You can import all your music and the tracks will stack up one above the other. Then, Tracks > Align Tracks. I think it's End to End, but you can experiment with short tracks.

That will shove all the tracks except the first one to the right so they line up. Then File > Export and Audacity will smash everything into one long file.

If, as it says in the posting, you want to create an Audacity Project, you can follow all the steps up to the Export and instead, Tracks > Mix and Render to a New Track.